So long as the lambs that are born, are not used for breeding, and are going for eating, it should be fine. My pygmy billy got his daughter in kid (before I got them), She kidded, but the billy was dead. I don't think this was due to them being related, just one of those things. To set your mind at rest, it was fully formed, full term, and had 4 legs, two ears and everything else that it should have.
Its not something I would recommend, but its happened, and hopefully all will be well.